In my opinion, "break to label" is the most natural (least contorted) way to do this if you just want to get get out of a try/catch/finally. But this could be confusing to novice Java programmers who have never encountered that Java construct.

By the way, return works in the case where there is a finally. But you should avoid doing a return in a finally block because the semantics are a bit confusing, and liable to give the reader a headache.